Ron, you're right. It's not legitimate at all. I suggest you to take a look at the HUGE bibliography on cointegration, as a start up.
Rogerio > Dear all R user, > > Please forgive me if my question is too simple. > > My question is related to Statistics rather directly to R. Suppose I have > two time series of spot prices of two commodities X and Y for two years. Now > I want to see what percentage of spot price of X is explained by Y. Yes I can > fit a regression equation of X on Y. But my question is, is it legitimate? > Because both series are non-stationary with very high auto-correlation of > order 1. And regression analysis is basically designed for cross-sectional > data, not for time series data. > > Your help will be highly appreciable. > > Thanks and regards, > Ron ______________________________________________ [EMAIL PROTECTED] mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code.
